Anchored VWAP

A standard VWAP resets on a fixed schedule (each session). Anchored VWAP instead begins its calculation at a *meaningful* bar — a major swing low, a swing high, or a significant news bar — and accumulates forward from there. The result is the volume-weighted average price of everyone who has traded since that pivotal moment. That makes it a powerful structural reference. AVWAP anchored to a major low is the average entry price of every buyer since the bottom; in a healthy uptrend price tends to respect it as dynamic support, because that average cohort is in profit and inclined to defend it. Anchored to a major high, it tracks the average price of trapped buyers and often acts as overhead resistance. Like all VWAP, it is a level, not a signal — a high-information reference point, not a prediction.

Identify the anchor bar. This implementation defaults to the extreme of the lookback window — the lowest low (or, optionally, the highest high). From that bar forward, accumulate Σ(TP × volume) and Σ(volume), where TP = (high + low + close) / 3, and divide them. As each new bar arrives the sums grow, so the anchored VWAP evolves while always reflecting everything since the anchor. Sanity check: anchored at the first bar over a constant price equals that price.

**Dynamic support/resistance from a pivot.** Anchor to the swing low of a move and watch whether pullbacks hold above the AVWAP (trend intact) or lose it (trend in question). **Fair value since an event.** Anchor to an earnings/news/listing bar to see the average price the market has paid while digesting that event. **Confluence.** AVWAP lining up with a Volume Profile POC or a horizontal level strengthens that zone as a reference.

**Honest limitations — read before relying on it.** Anchored VWAP is an analysis tool, not a profit guarantee. It marks a meaningful average price; it improves *context and probability*, not certainty. Price reclaims and loses AVWAP all the time. **The anchor choice is everything.** A poorly chosen anchor produces a meaningless line. Auto-anchoring to the lookback extreme is a heuristic; a discretionary trader may pick a more relevant pivot. **It is a level, not a signal.** A touch or cross is context for a decision, not the decision. Pair with structure, confirmation, and risk management. **Lagging and path-dependent.** Because it averages from the anchor, it reacts slowly far from the anchor and depends on where you started. Institutions use anchored VWAP and still take losses.